Double-barrier first-passage times of jump-diffusion processes
نویسندگان
چکیده
منابع مشابه
Double-barrier first-passage times of jump-diffusion processes
Required in a wide range of applications in, e.g., finance, engineering, and physics, first-passage time problems have attracted considerable interest over the past decades. Since analytical solutions often do not exist, one strand of research focuses on fast and accurate numerical techniques. In this paper, we present an efficient and unbiased Monte-Carlo simulation to obtain double-barrier fi...
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ژورنال
عنوان ژورنال: mcma
سال: 2013
ISSN: 0929-9629,1569-3961
DOI: 10.1515/mcma-2013-0005